There are set of prerequisite softwares which you need to install before you setup Hadoop.
You need to download Unix command-line tool Cygwin. Cygwin is a large collection of GNU and Open Source tools which provide functionality similar to a Linux distribution on Windows.
It is needed to run the scripts supplied with Hadoop because they are all written for the Unix platform.
Download Cygwin installer from below link. Select either 32 bit or 64 bit as per your operating system.
You need to download Java 1.6 or latest version.
Download JDK 1.6 from the link Java SE 6 Downloads
You will have to create an Oracle account to download it.
By default programs get installed in Program files.
It is strictly advisable that you create folders in C drive for Cygwin and Java so as to not run in problems of having folder name including spaces.